in what you've written. You didn't tell if Windows boots OK an runs and if it goes through a proper shutdown sequence. Of course, Windows on new hardware tends to be cranky anyway but you've got +5v present on the MB even with Windows shut down. It's needed to allow use of the momentary switch, WOL, and other BIOS enabled power-up features. Either Windows didn't shut down or maybe something is awry with how you have some of the wiring connected.
recently i built-ed a new computer, used some parts that were in the old gpu and a hdd transferred windows to a ssd, and when i go to turn it off every turns off except a usb powered "lamp" and the motherboards RGB lighting on the side. (ive left it on all night and woke up to see it still on)

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